if you have to drill them out...
don't bring them to red hot, the relatively cooler surrounding metal will chill them and make them even harder than they started out to be.
if you can... sand off the paint or rust around the area where the set screw goes in, and then heat the area to a dark blue, make the area about an inch around if possible, all blue if possible and slowly let it cool by bringing the flame back a bit at a time over about a minute or so... then go get a cup of coffee or a beer (pick your poison)... wait until it is cool enough to handle.
then the little buggers will drill right out without much problem
also i cool my drill bits with water, i use a standard plastic pop bottle with an eighth inch hole drilled it in to dribble water and keep the bit cool.
never had one that couldn't be drilled out, if you anneal them properly first.
fwiw
bob g